It happens often enough that you know you are going to set up a ko fight, but have a choice of sequences that do that. Never say never, particularly in go matters that are so rich in possibilities; but it is a very strong heuristic that one should aim to get first capture in a ko by choosing a variation leading to that, if at all possible. (There are numerous examples in problems, linked to this page.)
The reason is simple: the opponent will then have to find the first ko threat, and this is normally worth some points if the ko is of substantial value, and the adequate threats limited.
This will be particularly important in the opening (no ko threats in the opening), even though that saying is not to be taken literally.
For example there may be no adequate threats for a large ko. In this case the player who captures first in the ko will win it.